OPTIMAL MULTI-MODES SWITCHING PROBLEM IN INFINITE HORIZON

DOI10.1142/S0219493710002930zbMath1197.91195arXiv0904.0707MaRDI QIDQ3578408

Brahim El Asri

Publication date: 20 July 2010

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.0707

zbMATH Keywords

variational inequalities; backward stochastic differential equations; switching; viscosity solutions; stopping times; Snell envelope

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

93E20: Optimal stochastic control

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

91G50: Corporate finance (dividends, real options, etc.)

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Cites Work

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